Asymmetric information and stock return cross-autocorrelations

DOI10.1016/J.ECONLET.2006.12.004zbMATH Open1255.91126OpenAlexW2029568522MaRDI QIDQ1934089FDOQ1934089

Authors: Dan Bernhardt, Reza S. Mahani 

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.12.004

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zbMATH Keywords

asymmetric informationasset pricingfrictionsmicro-structurelead-lag

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Continuous Auctions and Insider Trading

Cited In (6)

• Information asymmetry, liquidity and the dynamic volume-return relation in panel data analysis
• Asymmetric conditional correlations in stock returns
• ON THE RATE OF INFORMATION ABSORPTION IN THE CONDITIONAL VARIANCE OF SES DUAL LISTED STOCKS
• Equity issues and aggregate market returns under information asymmetry
• Limited information-processing capacity and asymmetric stock correlations
• Lead-lag effects in Australian industry portfolios

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